Going to Milan on business?
You can't go wrong with Varenna but it will be pretty lazy this time of year. I also like Sermione on Lake Garda which is kind of touristy but has a nice Roman ruin.
You might want to think about Cremona which is just an hour away on the train. It is very small with some great places to eat and good food shops. Hosteria '700 has great food in a restored villa.
Lucky, lucky you. Go north to Lago di Como or Lago Maggiore. Have a meal at the Villa d'Este and then explore Como or Varenna. It's so off season that you'll get a local experience.
In Milan, do not miss Peck's. It's foodie heaven. Have tea and do some people watching. Also, go and see The Last Supper, even though it seems touristy. The colors are beautiful. And there are nice little cafes in that neighborhood.
Restaurant La Veranda in Villa d'Este closes in November, reopens March, so better call first.
Agreed Last Supper is a must visit, but have your hotel make reservations for you in advance, or you might end up only seeing the beautiful external brick walls of Santa Maria delle Grazie.